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ways being done to investigate the relationship between stock market returns and a range of macroeconomic variables.

Many studies have been published about the relationships between stock returns and macroeconomic, Prantik and Vina (2003) study examines what moves Indian stock market which is a study on the linkage with real economy in the post-reform era which used the economic indicator including interest rate, inflation, money supply (M3) in Indian markets between 1994 and 2003. The finding shows that certain variables like the interest rate, output, money supply and inflation rate has considerable influence in the stock market movement in the considered period, while the other variables have very negligible impact on the stock market.

In Turkey, Kandir (2008) had done the investigation with Turkish stock returns. The research was done which is using the data from July 1997 to June 2005 with multiple linear regressions. The variables used in this study including inflation, money supply and interest rate. The result are interest rate seem to affect all of the portfolio returns, while inflation rate is significant for only three of the twelve portfolios. On the other hand, money supply does not appear to have any significant affect on stock returns.

On the other hand, Mehrara (2006) observed that the stock price index is not a leading indicator for economic variables. Iran stock market does not have informational efficiency with money supply. Tursoy, Gunsel, and Rjoub (2008) published his findings that there is no relationship between the macroeconomic variables and stock market return. The researchers tested 13 macroeconomic variables including the variables that will be use in this study against 11 industry portfolios of Istanbul Stock Exchange.

Agrawalla (2005) also found rising prices in the stock market cannot be taken to be a leading indicator of the revival of the economy in India.

On the other hand, (H. Ibrahim and Wan Yusoff, 2001) analyzes dynamic interactions among real output and money supply and equity prices for the Malaysian case using time series techniques of cointegration and vector auto regression. The researcher found that macroeconomic variables improve the predictability of the Malaysian equity prices.

Puah and Jayaraman (2007) study on causal linkages between the Fiji stock price index and the fundamental economic forces. The research found that except for interest rate, all the explanatory variables emerged with expected signs potential macroeconomic variables could provide impact to the emerging stock market in Fiji.

By the evidence from Ghana, Adam and Tweneboah (2008) examines the role of macroeconomic variables on stock prices movement in Ghana. The researcher use the Databank stock index to represent Ghana stock market and inward foreign direct investments, the treasury bill rate (as a measure of interest rates) and the consumer price index (as a measure of inflation) as macroeconomic variables using Johansen's multivariate cointegration test and innovation accounting techniques. They researchers found that inflation explain small proportion of the variation of the share prices compared to interest rate. The researcher suggest that based on the result, potential investors should pay more attention to interest rate rather than inflation.

In Malaysia, Abdul Rahman, Mohd Sidek and Hanim Tafri